Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...

To ensure that central counterparties (“CCPs”) are safe in all market conditions the European Union (EU) has adopted legislation, commonly known as the European Market Infrastructure Regulation (“EMIR”) that deal with their ...

This paper describes and applies a nonparametric model for pricing multivariate contingent claims. Multivariate contingent claims are contracts whose payoffs depend on the future prices of more than one underlying variable. ...